This paper presents an exchange rate model of a new kind. Instead of relying exclusively on
macroeconomic determinants, the model includes a determinant from the field of …

The Microstructure Approach to Exchange Rates Page 1 The Microstructure Approach to
Exchange Rates MIT Press, forthcoming Richard K. Lyons Haas School of Business, UC …

The high‐frequency analysis of foreign exchange dynamics is helpful in order to better
identify the impact of central bank interventions. Evidence robustly shows that interventions …

Short-lived arbitrage opportunities arise when prices adjust with a lag to new information.
They are toxic because they expose dealers to the risk of trading at stale quotes. Hence …

The paper studies the effect of foreign exchange intervention on the level of the exchange
rate relying on an instrumental-variable panel approach suited to assess the …

This paper presents new evidence on information asymmetries in inter-dealer FX markets.
We employ a new USD/DEM data set covering the activities of multiple dealers over one …

How quickly do central bank intervention operations impact the foreign exchange market?
And, do intra-daily market conditions influence the effectiveness of central bank …

We assess the impact of safe haven flows on market liquidity by examining the bid-ask
spread in the Euro–US dollar spot and forward markets around Y2K. In the months …

Based on evidence obtained from the IMF's 2001 Survey on Foreign Exchange Market
Organization, the author argues that, for several reasons, some central banks in developing …

Underwriters using bookbuilding can allocate shares of initial public offerings (IPOs) on the
basis of, among other things, commissions paid by investors. In testing the hypothesis that …